Weekly Market Review | srei
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Weekly Market Review

June 27, 2014

Money Market 27-Jun-14 20-Jun-14
Call

8.80%

8.50%

CBLO 8.39% 8.02%
Mibor 8.23% 7.61%
LAF o/s Repo (Rs Cr) 18,663 11,626
Benchmark Securities 25-Jun-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.92 97.92 8.52 8.51
364 DTB 92.05 92.22 8.66 8.63
07.28%  2019 94.83 94.95 8.58 8.55
08.19%  2020 97.73 97.81 8.71 8.69
08.12%   2020 95.73 95.94 8.74 8.69
08.79%   2021 97.70 97.88 8.76 8.72
07.16%   2023 90.08 90.30 8.79 8.75
08.83%   2023 100.80 101.00 8.70 8.67
09.15%  2024 95.72 96.23 8.80 8.73
08.20%   2025 96.58 97.55 8.80 8.66
08.24%   2027 95.95 96.41 8.77 8.71
08.28%   2027 96.13 96.65 8.78 8.71
09.20%   2030 104.00 104.45 8.73 8.68
08.32%   2032 96.21 96.68 8.74 8.69
08.33%  2036 96.05 96.80 8.74 8.66
08.30%   2042 105.11 106.00 8.74 8.66

Data with two day lag

Call money rate ended higher on quarter-end demand

Call rates were on the lower side for most part of the week thanks to comfortable liquidity conditions owing to the government’s month-end spending. However, the banks’ demand for funds to make short-term loans towards the quarter-end put pressure on call rates. Overnight borrowing rates also rose on the banks’ demand for funds to meet their daily and weekend reserve needs. The interbank call money rate ended at 8.80% on June 27 as against 8.50% on June 20.

Gilt prices fell on Iraq concerns

Government bond prices fell during the week taking cues from domestic and international developments. The yield of the benchmark 8.83% 2023 paper rose from 8.72% on June 20 to 8.75% on June 27. Concerns about the situation in Iraq and, in particular, its effect on crude oil prices impacted the gilt market. Gilt prices fell on the back of the rupee’s intermittent weakness against the dollar. The government’s decision to extend excise duty cuts for a period of six months until December 31 put pressure on bond prices. A partial devolvement of the 8.27% 2020 gilt during the RBI's weekly auction dented the sentiment for gilts. However, weak economic data from the US, including GDP data for the first quarter and durable goods orders gave Indian bond prices support. Inclusion of the benchmark bond in the weekly gilt auction helped allay the fears of participants who were expecting the government to auction a new 10-year bond, and helped gilt prices rise. Intermittent value buying through the week also helped gilts.

Top 5 Traded Securities

ZCYC curve rose slightly at the long end of the curve

ZCYC curve was upward sloping, with slightly higher yields for longer maturity papers compared to a flat curve last week.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  25-Jun 18-Jun 25-Jun 18-Jun
1 year 9.03 8.89 0.48 0.43
3 year 9.12 9.04 0.61 0.50
5 year 9.19 9.14 0.40 0.46
10 year 9.14 9.10 0.17 0.25

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 597000
Budgeted G-Sec Net Borrowings for 2012-13 457000
Budgeted Redemptions 140000
G-Sec Gross Borrowings till Date 198000
G-Sec Gross Borrowing Completed (%) 33.17%
Maturities till date 75113
Net G-Sec Borrowings till date 122887
364 Day T-Bill Gross Borrowings till date 42000
OMO Purchases till date 0
SDL auction till date 43896

Term of the week

Accrued interestAccrued interest is the amount of loan interest that has already occurred, but has not yet been paid to the lender by the borrower. Accrued interest occurs as a result of the difference in timing of cash flows and the measurement of these cash flows.

Saturday, June 28, 2014